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- W2079891824 abstract "Abstract This research article uses two performance measures based on mean-variance efficiency to evaluate the performance of managed portfolios. They do not require the specification of the market portfolio and the risk-free rate. As a result, the measurement error attendant in the proxy is resolved. Our empirical results show that for the test period, approximately half of the sampled funds performed better than a naive buy-and-hold strategy based on these measures. When compared to other measures, results indicate that only these measures are independent of their risk proxy and as such are unbiased measures of investment performance." @default.
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- W2079891824 date "1994-03-01" @default.
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- W2079891824 title "Relative mean-variance efficiency of a given portfolio: An application to mutual fund performance" @default.
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- W2079891824 doi "https://doi.org/10.1016/1062-9769(94)90050-7" @default.
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